Useful martingales for stochastic storage processes with L\'{e}vy-type input

Publication date 8 October 2012

Applications of stochastic analysis (to PDEs, etc.) (60H30) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Processes in random environments (60K37)

Abstract: In this paper we generalize the martingale of Kella and Whitt to the setting of L'{e}vy-type processes and show that the (local) martingales obtained are in fact square integrable martingales which upon dividing by the time index converge to zero a.s. and in

L^{2}

. The reflected L'{e}vy-type process is considered as an example.

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